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econ.EM2025
Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
Anna Bykhovskaya, Vadim Gorin, Eszter Kiss
Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package con…
econ.EM2023★ 1 cited
High-Dimensional Canonical Correlation Analysis
Anna Bykhovskaya, Vadim Gorin
This paper studies high-dimensional canonical correlation analysis (CCA) with an emphasis on the vectors that define canonical variables. The paper shows that when two dimensions o…